How to save an image created from python script including the alpha channel?
This is a bug in Blender, I've reported it on your behalf.

Setting image.colorspace_settings.name changes the alpha at the moment, reported (now fixed!)

This script works, notice it sets filepath_raw, which prevents reloading to the new path.

import bpy
image = bpy.data.images.new("Sprite", alpha=True, width=16, height=16)
image.use_alpha = True
image.alpha_mode = 'STRAIGHT'
image.filepath_raw = "//Sprite.png"
image.file_format = 'PNG'
image.save()